Name: Michael D. Bauer
Paper: Nominal Interest Rates and the News. Journal of Money, Credit and Banking, Vol. 47, No. 2-3 (March-April 2015)
Zip Folder: Code and Data required to replicate the first part: Estimation. And the second part: Figure and Analysis


Part I: Estimation
estimation.r inputs:
\R\dtsm_functions.r ## dynamic term structure functions
\R\init.r ## Read in and format/manipulate FF, ED, Yields data.
\R\news_fns.r ## Functions for news/macro/policy models.
\data\FFdata_final.csv ## Fed Funds Future Data
\data\EDdata_final.csv ## Eurodollar data
\data\le_data_daily.RData ## Yields data

estimation.r outputs:
\estimates\results_yfut_1aa.RData ##Estimation results

Steps:
1.) Extract all zipped files to a chosen directory folder.
2.) Open estimation.r code in R and set directory.
3.) Run this code in order to replicate/rewrite existing estimation results.
4.) If there are errors be sure the directory and requisite packages were correctly set and loaded.


Part II: Analysis and Figures
analysis.r intputs:
\R\dtsm_functions.r ## dynamic term structure functions
\R\init.r ## Read in and format/manipulate FF, ED, Yields data.
\R\news_fns.r ## Functions for news/macro/policy models.
\data\dates_announcement.txt ## Macro/policy news dates data.
\data\EDdata_final.csv ## Eurodollar data
\data\FFdata_final.csv ## Fed Funds Future Dat
\data\fed_raw_news_csv.csv ## news dataset

analysis.r outputs:
\data_dY.csv
\factors_dP.csv
\factors_dX.csv
Figures in R Graphics: Figure 1(pg 305), 2(pg 307), 3(pg 309), 4(pg 312), 5(pg 314), 6(pg 316), 7(pg 317).
Tables in R Graphics: Table 1(pg 315), 2(pg 319)

Steps:
1.) Open analysis.r file and set directory
2.) The analysis.r file sources the same R files as in part I.
3.) The code will then load the estimation results from Part I, if the directory is not properly set it will 
    be unable to locate the file, which is in \estimates\results_yfut_1aa.RData
4.) Once this is complete run the code, and all the figures can be recreated, with specific information on what code
    corresponds to what figure commented in the code.


Part III: onatski: Ontaski's matlab code
\MATLAB\onatski\
Steps:
1.) Open news.m in Matlab and set path to open \data_dY.csv\ -- this is a csv created from running analysis.r
2.) By default line 33, the static column from table 3, is commented out, leaving only the dynamic column.
    To rerun for the static column uncomment line 33, and comment out line 34.
3.) Run news.m, which calls functions and data from other files in \MATLAB\onatski\ in order to replicate table 3.



